Multivariate subexponential distributions and their applications

DOI10.1007/s10687-016-0242-8zbMath1385.60034arXiv1509.05353OpenAlexW2241383893MaRDI QIDQ291400

Julian Sun, Gennady Samorodnitsky

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.05353

zbMATH Keywords

regular variationheavy tailsruin probabilitysubexponential distributionmultivariateinsurance portfolio

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

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